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Evaluating factor pricing models using high-frequency panels

Chang, Yoosoon; Choi, Yongok; Kim, Hwagyun; Park, Joon Y. - In: Quantitative economics : QE ; journal of the … 7 (2016) 3, pp. 889-933

This paper develops a new framework and statistical tools to analyze stock returns using high-frequency data. We consider a continuous-time multifactor model via a continuous-time multivariate regression model incorporating realistic empirical features, such as persistent stochastic volatilities...

Persistent link: https://www.econbiz.de/10011800879

Common cycles in volatility and cross section of stock returns

Barunik, Jozef; Kraicova, Lucie - 2017

a portfolio of financial assets. We argue that the combination of quantile panel regression and wavelet decomposition of …

Persistent link: https://www.econbiz.de/10011722181

Nonstationary-volatility robust panel unit root tests and the great moderation

Hanck, Christoph; Czudaj, Robert - 2013

This paper argues that typical applications of panel unit root tests should take possible nonstationarity in the … volatility process of the innovations of the panel time series into account. Nonstationarity volatility arises for instance when … enjoyed by many industrialized countries, known as the "Great Moderation". It also proposes a new testing approach for panel …

Persistent link: https://www.econbiz.de/10009779045

International investment positions and exchange rate dynamics

Binder, Michael; Offermanns, Christian J. - 2014

dynamic panel data models. In particular, in our model the long-run relationship between effective exchange rates and domestic …

Persistent link: https://www.econbiz.de/10010414236

Nonstationary-volatility robust panel unit root tests and the great moderation : conference paper

Hanck, Christoph; Czudaj, Robert - 2013

This paper argues that typical applications of panel unit root tests should take possible nonstationarity in the … volatility process of the innovations of the panel time series into account. Nonstationarity volatility arises for instance when … enjoyed by many industrialized countries, known as the `Great Moderation.' It also proposes a new testing approach for panel …

Persistent link: https://www.econbiz.de/10010343777

Heteroskedasticity-robust unit root testing for trending panels

Herwartz, Helmut; Maxand, Simone; Walle, Yabibal - 2017

Standard panel unit root tests (PURTs) are not robust to breaks in innovation variances. Consequently, recent papers …

Persistent link: https://www.econbiz.de/10011665040

Exchange Rate Risk in the U.S. Stock Market : A Pooled Panel Data Regression Approach

Lee, Cheng-Few - 2019

This paper focuses on revisiting an old issue by advanced econometrics analysis: the risks in the U.S. stock market. We analyze the firm's exposure to exchange rate, interest rate, and market shocks by the pooled regression with the error cross-section dependency. We not only examine the...

Persistent link: https://www.econbiz.de/10012868070

On the long-run unemployment, inflation, and volatility

Fasani, Stefano - 2021

This paper builds up a simple New Keynesian model and revisits the relationship between unemployment and in ation in the long-run. It finds that when the labor market is affected by downward nominal wage rigidity, this relationship goes beyond the tradeoff between the first moments of...

Persistent link: https://www.econbiz.de/10012429726

What is the investment loss due to uncertainty?

Panagiōtidēs, Theodōros; Printzis, Panagiotis - Leibniz-Institut für Ost- und Südosteuropaforschung - 2019

We investigate the effect of uncertainty on investment. We employ a unique dataset of 25000 Greek firms' balance sheets for 14 years covering the period before and after the eurozone crisis. A dynamic factor model is employed to proxy uncertainty. The investment performance of 14 sectors is...

Persistent link: https://www.econbiz.de/10012060122

Estimation of dynamic panel data models with stochastic volatility using particle filters

Xu, Wen - In: Econometrics : open access journal 4 (2016) 4, pp. 1-13

work. Dynamic panel data models have become increasingly popular in macroeconomics to study common relationships across … countries or regions. This paper estimates dynamic panel data models with stochastic volatility by maximizing an approximate …

Persistent link: https://www.econbiz.de/10011650493